Likelihood-based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Søren Johansen |
Publisher | Oxford University Press, USA |
Pages | 280 |
Release | 1995 |
Genre | Business & Economics |
ISBN | 0198774508 |
This monograph is concerned with the statistical analysis of multivariate systems of non-stationary time series of type I. It applies the concepts of cointegration and common trends in the framework of the Gaussian vector autoregressive model.
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-Based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Soren Johansen |
Publisher | |
Pages | 278 |
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The Cointegrated VAR Model
Title | The Cointegrated VAR Model PDF eBook |
Author | Katarina Juselius |
Publisher | OUP Oxford |
Pages | 478 |
Release | 2006-12-07 |
Genre | Business & Economics |
ISBN | 0191622966 |
This valuable text provides a comprehensive introduction to VAR modelling and how it can be applied. In particular, the author focuses on the properties of the Cointegrated VAR model and its implications for macroeconomic inference when data are non-stationary. The text provides a number of insights into the links between statistical econometric modelling and economic theory and gives a thorough treatment of identification of the long-run and short-run structure as well as of the common stochastic trends and the impulse response functions, providing in each case illustrations of applicability. This book presents the main ingredients of the Copenhagen School of Time-Series Econometrics in a transparent and coherent framework. The distinguishing feature of this school is that econometric theory and applications have been developed in close cooperation. The guiding principle is that good econometric work should take econometrics, institutions, and economics seriously. The author uses a single data set throughout most of the book to guide the reader through the econometric theory while also revealing the full implications for the underlying economic model. To test ensure full understanding the book concludes with the introduction of two new data sets to combine readers understanding of econometric theory and economic models, with economic reality.
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Title | Likelihood-Based Inference in Cointegrated Vector Autoregressive Models PDF eBook |
Author | Soren Johansen |
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Pages | 0 |
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Inference in Cointegrated Var Models
Title | Inference in Cointegrated Var Models PDF eBook |
Author | Alessandra Canepa |
Publisher | LAP Lambert Academic Publishing |
Pages | 172 |
Release | 2009-10 |
Genre | |
ISBN | 9783838314693 |
Obtaining reliable inference procedures is one of the main challenges of econometric research. Test statistics are usually based on applications of the central limit theorem. However, in order to work well the first order asymptotic approximation requires that the asymptotic distribution is an accurate approximation to the finite sample distribution. When dealing with time series models, this is not generally the case. In this book we investigate the small sample performance of various bootstrap based inference procedures when applied to vector autoregressive models. Special attention is given to Johansen s maximum likelihood method for conducting inference on cointegrated VAR models. Throughout the book, empirical applications are provided to illustrate the bootstrap method and its applications. The analysis should provide some guidance to practitioners in doubt about which inference procedure to use when dealing with cointegrated VAR models.
Rosenthal, Stephen
Title | Rosenthal, Stephen PDF eBook |
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The folder may include clippings, announcements, small exhibition catalogs, and other ephemeral items.
Bootstrap inference in cointegrated VAR models
Title | Bootstrap inference in cointegrated VAR models PDF eBook |
Author | Alessandra Canepa |
Publisher | |
Pages | 174 |
Release | 2002 |
Genre | |
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